Enhancing the Black-Litterman and related approaches: Views and stress-test on risk factors

Journal of Asset Management

Volumn 10, Issue 2, 2009, Pages 89-96

  Meucci, Attilio ^a  

^a NEW YORK UNIVERSITY   (United States)

Author keywords

Non mean variance optimisation; Option trading; Scenario analysis; Views on macro factors

Indexed keywords

EID: 67650270631     PISSN: 14708272     EISSN: 1479179X     Source Type: Journal    
DOI: 10.1057/jam.2008.42     Document Type: Article

References (8)

1. Black, F. and Litterman, R. (1990) Asset allocation: Combining investors' views with market equilibrium. Goldman Sachs Fixed Income Research.
2. Cheung, W. (2007) The Black-Litterman Model: Augmented for Factor-based Portfolio Construction. Lehman Brothers Publications.
3. Malz, A. M. (1997) Option-implied Probability Distributions and Currency Excess Returns. Federal Reserve Bank of New York Staff Reports.
4. Meucci, A. (2005) Risk and Asset Allocation, Springer.
5. Meucci, A. (2008) The Black Litterman approach: Original model and extensions. Encyclopedia of Quantitative Finance, Extended version available at symmys.com>research>Working Papers.
6. Meucci, A. (2009) Normal and elliptical simulations with exact mean and covariance. Working paper available at ssm.com.
7. Mina, J. and Xiao, J. Y. (2001) Return to RiskMetrics: The evolution of a Standard. RiskMetrics Publications.
8. Qian, E. and Gorman, S. (2001) Conditional distribution in portfolio theory. Financial Analyst Journal 57: 44-51.